PL Options History — August 2008

In August 2008, PL traded between $33.70 and $38.07. ATM implied volatility averaged 30.3%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 19.0% (HV 20d: 49.3%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.24.

Notable Days

  • 2008-08-22: Highest Volume — 270 contracts
  • 2008-08-11: Largest IV spike — 23.7% change
  • 2008-08-04: Highest IV Rank — 45.2%
  • 2008-08-01: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.21$33.70$38.07$36.23$36.29
Max Pain$34.29$30.00$35.00$35.00$35.00
ATM IV30.3%25.5%37.5%34.9%28.7%
Expected Move8.5%7.3%10.0%10.0%8.2%
HV 20d49.3%40.3%55.3%40.3%49.4%
HV 60d37.1%30.6%39.3%30.7%39.2%
IV Rank23.2%8.0%45.2%38.9%16.5%
IV Percentile29.5%1.6%81.7%67.9%14.3%
Term Structure0.5%-3.1%4.0%-1.4%-0.3%
VWIV29.5%23.5%42.6%34.8%27.7%
Bid-Ask Spread %73.5438.8389.1751.7388.01
Gamma HHI0.390.290.470.300.41
Net GEX-42.8K-60.4K-11.4K-19.9K-49.9K
Net DEX1.0M338.5K1.4M680.8K567.0K
Net VEX-11.3K-12.8K-10.3K-12.1K-12.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.004.580.000.00
Total Volume47.8570270100
Total OI2,226.0482,0332,4602,1112,460

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$36.23$35.0034.9%10.0%40.3%38.9%34.8%0.0%-1.4%-19.9K680.8K-12.1K0.0051.73N/AN/A1008891,222
2008-08-04$36.48$35.0037.5%9.8%40.3%45.2%0.0%0.0%0.5%-18.0K612.7K-11.9K0.0049.22N/AN/A208901,222
2008-08-05$38.07$35.0030.5%9.0%41.7%27.9%23.5%0.0%-3.1%-11.4K338.5K-11.7K3.8071.57N/AN/A15578921,222
2008-08-06$34.26$35.0035.9%9.3%55.3%41.2%42.6%0.0%-0.7%-36.1K1.3M-10.7K0.0063.34N/AN/A3108921,215
2008-08-07$33.70$30.0031.3%9.5%55.2%29.8%0.0%0.0%-0.4%-36.9K1.4M-10.4K0.2538.83N/AN/A40109091,215
2008-08-08$34.48$30.0029.3%9.0%54.4%24.9%0.0%0.0%0.1%-31.1K1.3M-10.3K0.0060.84N/AN/A009391,215
2008-08-11$34.98$30.0036.3%8.4%53.1%42.2%29.2%0.0%2.2%-29.9K1.2M-10.4K4.5862.41N/AN/A12559391,215
2008-08-12$34.29$35.0032.6%8.6%52.0%33.0%29.9%0.0%0.9%-40.7K1.3M-10.4K0.0067.91N/AN/A0469391,262
2008-08-13$34.15$35.0032.0%8.4%50.7%31.6%0.0%0.0%1.6%-46.0K1.4M-10.3K0.0066.54N/AN/A2009391,273
2008-08-14$34.90$35.0029.6%8.5%50.1%19.1%29.2%0.0%1.6%-45.1K1.3M-10.3K0.0578.16N/AN/A2019331,273
2008-08-15$35.47$35.0026.1%7.5%50.4%9.5%26.3%0.0%4.0%-40.9K950.9K-10.4K0.3285.95N/AN/A90299431,273
2008-08-18$35.14$35.0026.6%7.6%50.5%10.9%26.6%0.0%2.2%-49.9K980.3K-10.3K0.4683.62N/AN/A90418721,161
2008-08-19$34.54$35.0025.5%7.3%49.7%8.0%25.5%0.0%2.5%-51.5K1.2M-11.1K4.0087.47N/AN/A10409521,202
2008-08-20$35.00$35.0027.7%7.9%49.2%13.8%27.7%0.0%1.1%-51.8K1.1M-11.3K2.5081.42N/AN/A10259611,232
2008-08-21$34.52$35.0028.6%8.2%48.4%16.2%0.0%0.0%-0.7%-56.7K1.3M-11.3K0.0079.61N/AN/A009611,257
2008-08-22$35.34$35.0027.0%7.7%49.1%12.0%0.0%0.0%0.4%-57.8K1.1M-11.3K1.7084.53N/AN/A1001709611,257
2008-08-25$34.66$35.0028.1%8.0%49.5%14.9%0.0%0.0%0.3%-60.4K1.2M-12.8K0.9083.12N/AN/A1091,0611,377
2008-08-26$34.63$35.0030.0%8.6%47.2%20.1%0.0%0.0%-0.6%-59.1K1.3M-12.8K0.0082.43N/AN/A0321,0611,369
2008-08-27$35.88$35.0028.6%8.2%49.1%16.2%0.0%0.0%0.2%-56.6K861.8K-12.8K0.0088.43N/AN/A001,0611,385
2008-08-28$36.47$35.0028.6%8.2%49.4%16.4%0.0%0.0%0.7%-49.2K579.5K-12.7K0.0089.17N/AN/A3001,0611,385
2008-08-29$36.29$35.0028.7%8.2%49.4%16.5%0.0%0.0%-0.3%-49.9K567.0K-12.7K0.0088.01N/AN/A001,0751,385